I just bought the new Lütkephol's book "New Introduction to Multiple Time
Series Analysis". The author mentions JMulTi in the preface. JMulTi is an
open source (Gnu GPL) program designed for univariate and multivariate time
series analysis. (see http://www.jmulti.de
Did you know JMulti?
May be we are interested in some type of link or collaboration?
Dpto. de Economía Aplicada III (Econometría y Estadística)